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Peter Hördahl
(Peter Hoerdahl)

Personal Details

First Name:Peter
Middle Name:
Last Name:Hoerdahl
Suffix:
RePEc Short-ID:phr25
[This author has chosen not to make the email address public]

Affiliation

Bank for International Settlements (BIS)

Basel, Switzerland
http://www.bis.org/
RePEc:edi:bisssch (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Paolo Cavallino & Giulio Cornelli & Peter Hördahl & Egon Zakrajsek, 2022. ""Front-loading" monetary tightening: pros and cons," BIS Bulletins 63, Bank for International Settlements.
  2. Peter Hördahl & Giorgio Valente, 2022. "Emerging market bond flows and exchange rate returns," BIS Working Papers 1042, Bank for International Settlements.
  3. Mikhail Chernov & Drew Creal & Peter Hördahl, 2021. "Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds," BIS Working Papers 918, Bank for International Settlements.
  4. Gregory Duffee & Peter Hördahl, 2021. "Debt specialisation and diversification: International evidence," BIS Working Papers 928, Bank for International Settlements.
  5. Peter Hördahl & Ilhyock Shim, 2020. "EME bond portfolio flows and long-term interest rates during the Covid-19 pandemic," BIS Bulletins 18, Bank for International Settlements.
  6. Peter Hördahl & Oreste Tristani, 2019. "Modelling yields at the lower bound through regime shifts," BIS Working Papers 813, Bank for International Settlements.
  7. Jacob Gyntelberg & Peter Hördahl & Kristyna Ters & Jörg Urban, 2017. "Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets," BIS Working Papers 631, Bank for International Settlements.
  8. Peter Hördahl & Jhuvesh Sobrun & Philip Turner, 2016. "Low long-term interest rates as a global phenomenon," BIS Working Papers 574, Bank for International Settlements.
  9. Peter Hördahl & Eli M Remolona & Giorgio Valente, 2015. "Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve," BIS Working Papers 527, Bank for International Settlements.
  10. Jacob Gyntelberg & Peter Hördahl & Kristyna Ters & Jörg Urban, 2013. "Intraday dynamics of euro area sovereign CDS and bonds," BIS Working Papers 423, Bank for International Settlements.
  11. Peter Hördahl & Oreste Tristani, 2010. "Inflation risk premia in the US and the euro area," BIS Working Papers 325, Bank for International Settlements.
  12. Peter Hoerdahl & Oreste Tristani, 2007. "Inflation risk premia in the term structure of interest rates," BIS Working Papers 228, Bank for International Settlements.
  13. Hördahl, Peter & Tristani, Oreste & Vestin, David, 2007. "The yield curve and macroeconomic dynamics," Working Paper Series 832, European Central Bank.
  14. Cappiello, Lorenzo & Manganelli, Simone & Hördahl, Peter & Kadareja, Arjan, 2006. "The impact of the euro on financial markets," Working Paper Series 598, European Central Bank.
  15. Peter Hördahl & Oreste Tristani & David Vestin, 2006. "The term structure of inflation risk premia and macroeconomic dynamics," Computing in Economics and Finance 2006 203, Society for Computational Economics.
  16. Tristani, Oreste & Vestin, David & Hördahl, Peter, 2004. "A joint econometric model of macroeconomic and term structure dynamics," Working Paper Series 405, European Central Bank.
  17. Baele, Lieven & Ferrando, Annalisa & Hördahl, Peter & Krylova, Elizaveta & Monnet, Cyril, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
  18. Vestin, David & Hördahl, Peter, 2003. "Interpreting implied risk-neutral densities: the role of risk premia," Working Paper Series 274, European Central Bank.
  19. Hördahl, Peter, 2000. "Estimating the implied distribution of the future short term interest rate using the Longstaff-Schwartz model," Working Paper Series 16, European Central Bank.

Articles

  1. Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2023. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," Journal of International Economics, Elsevier, vol. 140(C).
  2. Iñaki Aldasoro & Peter Hördahl & Sonya Zhu, 2022. "Under pressure: market conditions and stress," BIS Quarterly Review, Bank for International Settlements, September.
  3. Peter Hördahl & Eli M. Remolona & Giorgio Valente, 2020. "Expectations and Risk Premia at 8:30 a.m.: Deciphering the Responses of Bond Yields to Macroeconomic Announcements," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 27-42, January.
  4. Benjamin H Cohen & Peter Hördahl & Dora Xia, 2018. "Term premia: models and some stylised facts," BIS Quarterly Review, Bank for International Settlements, March.
  5. Gyntelberg, Jacob & Hördahl, Peter & Ters, Kristyna & Urban, Jörg, 2018. "Price discovery in euro area sovereign credit markets and the ban on naked CDS," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 106-125.
  6. Peter Hördahl & Oreste Tristani, 2014. "Inflation Risk Premia in the Euro Area and the United States," International Journal of Central Banking, International Journal of Central Banking, vol. 10(3), pages 1-47, September.
  7. Petra Gerlach & Peter Hördahl & Richhild Moessner, 2011. "Inflation expectations and the great recession," BIS Quarterly Review, Bank for International Settlements, March.
  8. Peter Hördahl & Michael R King, 2008. "Developments in repo markets during the financial turmoil," BIS Quarterly Review, Bank for International Settlements, December.
  9. Peter Hördahl & Oreste Tristani & David Vestin, 2008. "The Yield Curve and Macroeconomic Dynamics," Economic Journal, Royal Economic Society, vol. 118(533), pages 1937-1970, November.
  10. Peter Hördahl, 2008. "The inflation risk premium in the term structure of interest rates," BIS Quarterly Review, Bank for International Settlements, September.
  11. Hordahl, Peter & Tristani, Oreste & Vestin, David, 2006. "A joint econometric model of macroeconomic and term-structure dynamics," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 405-444.
  12. Bjorn Hansson & Peter Hordahl, 2005. "Forecasting variance using stochastic volatility and GARCH," The European Journal of Finance, Taylor & Francis Journals, vol. 11(1), pages 33-57.
  13. Peter Hördahl & Oreste Tristani & David Vestin, 2005. "Economic determinants of risk premia in the term structure of interest rates," Research Bulletin, European Central Bank, vol. 3, pages 2-5.
  14. Peter Hördahl & David Vestin, 2005. "Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia," Review of Finance, Springer, vol. 9(1), pages 97-137, March.
  15. Peter Hordahl & Oreste Tristani & David Vestin, 2003. "A joint econometric model of macroeconomic and term structure," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  16. Björn Hansson & Peter Hördahl, 1997. "Changing Risk Premia: Evidence from a Small Open Economy," Scandinavian Journal of Economics, Wiley Blackwell, vol. 99(2), pages 335-350, June.
    RePEc:taf:apfiec:v:8:y:1998:i:4:p:377-388 is not listed on IDEAS

Chapters

  1. Greg Duffee & Peter Hördahl, 2019. "Corporate bond use in Asia and the United States," BIS Papers chapters, in: Bank for International Settlements (ed.), Asia-Pacific fixed income markets: evolving structure, participation and pricing, volume 102, pages 97-107, Bank for International Settlements.
  2. Mikhail Chernov & Drew Creal & Peter Hördahl, 2019. "Determinants of Asia-Pacific government bond yields," BIS Papers chapters, in: Bank for International Settlements (ed.), Asia-Pacific fixed income markets: evolving structure, participation and pricing, volume 102, pages 29-39, Bank for International Settlements.

Books

  1. Peter Hördahl & Frank Packer, 2007. "Understanding asset prices: an overview," BIS Papers, Bank for International Settlements, number 34.

More information

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Co-authorship network on CollEc

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